* regression tests
* fix: apply the same time convertion to history request time as for data time
* ver2
* fixup
* unit tests
* do not need this conversion because RoundDownInTimeZone returns in proper TZ
* comment
* requested changes
* refactoring
* more refactoring
* fix existing test: should return Sunday if open
* more symbols
* fix existing tests: submit new btcusd data
* fix
* add Cfd symbol
* Add PolygonDataQueueHandler
* Add history provider and downloader for Polygon
* Add aggregator to PolygonDataQueueHandler
* Address review
- Removed duplication in message classes
- Added public Subscribe/Unsubscribe methods in PolygonWebSocketClientWrapper
- Added history requests for Forex and Crypto
* Address review
- Add security type and market arguments to downloader
- Fix time zone bug in downloader
* Remove unnecessary locks
* Add Polygon history for all resolutions
- Equity: trades and quotes
- Forex: quotes only
- Crypto: trades only
- New `KellyCriterionManager` will be used by the
`StatisticsInsightManagerExtension` to calculate and update the
`AlphaRuntimeStatistics` with the new Kelly Criterion values, on a daily
basis.
- Adding `LazyToUpper()` implementation, that will avoid the call to
`ToUpper` if the string is already upper.
- Reduce the timezone conversions at `Time.EachTradeableDayInTimeZone`
- `TotalPortfolioValue` will iterate over all securities once
- Adding new `SecurityIdentifier` cache, significant impact for
algorithms using coarse/fine data
- Classic Algorithms will emight insights based on order fills.
- To be able to update generated insights closed time, we will not
clone emitted insights.
- `InsightAnalysisContext` will update `AnalysisEndTimeUtc` when the
Insight period is closed and the period is `EndOfTimeTimeSpan`
- Adding new regression algorithm asserting on the new emitted insights
- Adding unit tests
- `LiveTradingResultHandler` will store `AlphaRunTimeStatistics`
- Making `DefaultAlphaHandler.ProcessAsynchronousEvents` virtual to
facilitate cloud changes
> This PR is a mechanical refactor, no behaviour changed
- Obsoleting `IsFillDataForward`, `Resolution`, `IsExtendedMarketHours`
`Security` configuration properties. Replacing there usages by
requesting the `SubscriptionDataConfigs` to the new
`SubscriptionDataConfigService`
Fixes a bug where we were using the security's data resolution to compute
the insight's close time. This led a case such as insight.Period == 20days
to step 20days worth of tradable minutes (assuming minute data resolution),
yielding a close time that was very far in the future.
We also add different means of specifying an insight's period/close time:
1. Specify insight period as a TimeSpan and we compute close time
2. Specify insight period and a resolution and bar count and we compute close time
3. Specify insight close time local directly and we compute the insight period
The key here is maintaining consistency between the three different approaches
which is heavily validated with the corresponding unit tests.
Edits also made to trust the insight's close time as the analysis end time in
the case where the analysis period == insight period (extra analysis period = 0).
Given the current setup (extra analysis period == 0), this guarantees that close
and analysis end times are equivalent.
Regression statistics were updated and expectedly we get many more insights that
have completed analysis, and as such, average scores have also changed.
If we make a prediction for 1 day in the future, we actually mean 1 trading day.
This change updates the alpha analysis logic to take into account the security's
market hours.
This commit provides the required infrastructure for analyzing algorithm generated
signals. The analysis of signals is mainly performed via ISignalScoreFunction which
computes scores for a signal. The SignalAnalysisContext provides contextual information
regarding the analysis of a particular signal object and also allows for the storing
of arbitrary state by consumers -- scoring functions can benefit greatly from having
this state tracked (consider any iterative function, or maybe just some heavy calcs to
be persisted between function invocations).
This project can take trade as well as orderbook information from Kaiko
and convert the data into Lean compatible data at all resolutions in
modeled as both trades and quotes.
Defines an enumerator factory for live custom data. This is a refactoring
and bugfix over the previous implementation. This implementation now checks
the transport medium of each refresh of the stack to see if it's a file or
a rest server and provides the appropriate fast forward/rate limiting behavior.
Many places in the code used Log.Error(err.Message) or equivalent which
strips out all the really useful information, such as the stack trace
and inner exceptions. Using Log.Error(exception) is the correct way to
log an error as it will correctly write all the message details, also,
by passing the full Exception object we can improve the logging in this
one place and all call sites will automatically benefit from the improvements
Adds concept of Subscription to contain everything a data feed needs in order to process single data feed item
Moves preparation of all data to data feed thread, algo thread receives data in format it needs
QCAlgorithm.SetUniverse( func ) allows selection based on market/symbol/dollar volume/price
Remove laziness from Slice as optimization, no order by in real time handler
DataFeeds now expose a single bridge (BlockingCollection<TimeSlice>)
- IDataFeed now responsible for all time syncing, DataStream was removed
- BlockingCollection allows for easy throttling of data feed thread without sleeps (internally using semaphore slim)
- Slimmed down IDataFeed interface to not include members unused externally
DataFeeds now use raw IEnumerator<BaseData> instead of subscription data readers directly
- Simplifies fill forward logic (see FillForwardEnumerator.cs and FillForwardEnumeratorTest.cs)
- Allows for composition (raw reader -> fill forward, user/market filters)
- SubscriptionDataReader now handles refreshing source (continuous enumeration)
LiveTradingDataFeed cleaned up to work with time slice bridge
- RealTimeSynchronizedTimer handles pushing time slices into bridge every second, with or without data
- Subscriptions with tick resolution get their data pushed directly into the bridge immediately
Fill forward changes
- Implemented as an IEnumerator<BaseData>
- Fill forward lower res on higher res (daily gets filled forward on second/minute/hour bars)
- Second/minute/hour will not be filled forward on daily bars (at midnight) in line with current behavior
MISC:
- Performance boost in backtesting brokerage via not checking _pending.Count, instead use local bool to determine if there's pending orders
- Added a FakeDataQueue to aid in testing LiveTradingDataFeed
- FileSystemDataFeed now uses CancellationTokenSource to handle thread exits
- Added logging
Adalyat Nazirov